Sparse convex optimization toolkit: a mixed-integer framework

This paper proposes an open-source distributed solver for solving Sparse Convex Optimization (SCO) problems over computational networks. Motivated by past algorithmic advances in mixed-integer optimization, the Sparse Convex Optimization Toolkit (SCOT) adopts a mixed-integer approach to find exact solutions to SCO problems. In particular, SCOT combines various techniques to transform the original SCO problem into an equivalent convex Mixed-Integer Nonlinear Programming (MINLP) problem that can benefit from high-performance and parallel computing platforms. To solve the equivalent mixed-integer problem, we present the Distributed Hybrid Outer Approximation (DiHOA) algorithm that builds upon the LP/NLP-based branch-and-bound and is tailored for this specific problem structure. The DiHOA algorithm combines the so-called single- and multi-tree outer approximation, naturally integrates a decentralized algorithm for distributed convex nonlinear subproblems, and employs enhancement techniques such as quadratic cuts. Finally, we present detailed computational experiments that show the benefit of our solver through numerical benchmarks on 140 SCO problems with distributed datasets. To show the overall efficiency of SCOT we also provide solution profiles comparing SCOT to other state-of-the-art MINLP solvers.